A Parameter Free ADI-like Method for the Numerical Solution of Large Scale Lyapunov Equations

Simple item page
dc.contributor.authorNong, Ryanen_US
dc.contributor.authorSorensen, Danny C.en_US
dc.date.accessioned2018-06-19T17:45:07Zen_US
dc.date.available2018-06-19T17:45:07Zen_US
dc.date.issued2009-05en_US
dc.date.noteMay 2009en_US
dc.description.abstractAn algorithm is presented for constructing an approximate numerical solution to a large scale Lyapunov equation in low rank factored form. The algorithm is based upon a synthesis of an approximate power method and an alternating direction implicit (ADI) method. The former is parameter free and tends to be efficient in practice, but there is little theoretical understanding of its convergence properties. The ADI method has a well understood convergence theory, but the method relies upon selection of shift parameters and a poor shift selection can lead to very slow convergence in practice. The algorithm presented here uses an approximate power method iteration to obtain a basis update. It then constructs a re-weighting of this basis update to provide a factorization update that satisfies ADI-like convergence properties.en_US
dc.format.extent22 ppen_US
dc.identifier.citationNong, Ryan and Sorensen, Danny C.. "A Parameter Free ADI-like Method for the Numerical Solution of Large Scale Lyapunov Equations." (2009) <a href="https://hdl.handle.net/1911/102121">https://hdl.handle.net/1911/102121</a>.en_US
dc.identifier.digitalTR09-16en_US
dc.identifier.urihttps://hdl.handle.net/1911/102121en_US
dc.language.isoengen_US
dc.titleA Parameter Free ADI-like Method for the Numerical Solution of Large Scale Lyapunov Equationsen_US
dc.typeTechnical reporten_US
dc.type.dcmiTexten_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
TR09-16.pdf
Size:
570.15 KB
Format:
Adobe Portable Document Format
Download
Collections
CMOR Technical Reports